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dc.contributor.author
Dolinsky, Yan
dc.contributor.author
Soner, Mete
dc.date.accessioned
2021-05-07T13:57:46Z
dc.date.available
2017-06-11T01:01:29Z
dc.date.available
2021-05-07T13:57:46Z
dc.date.issued
2014-04
dc.identifier.issn
0949-2984
dc.identifier.issn
1432-1122
dc.identifier.other
10.1007/s00780-014-0227-x
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/75737
dc.identifier.doi
10.3929/ethz-b-000075737
dc.description.abstract
A duality for robust hedging with proportional transaction costs of path-dependent European options is obtained in a discrete-time financial market with one risky asset. The investor’s portfolio consists of a dynamically traded stock and a static position in vanilla options, which can be exercised at maturity. Trading of both options and stock is subject to proportional transaction costs. The main theorem is a duality between hedging and a Monge–Kantorovich-type optimization problem. In this dual transport problem, the optimization is over all probability measures that satisfy an approximate martingale condition related to consistent price systems, in addition to an approximate marginal constraint.
en_US
dc.format
application/pdf
en_US
dc.language.iso
en
en_US
dc.publisher
Springer
en_US
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
European options
en_US
dc.subject
Robust hedging
en_US
dc.subject
Transaction costs
en_US
dc.subject
Weak convergence
en_US
dc.subject
Consistent price systems
en_US
dc.subject
Optimal transport
en_US
dc.title
Robust hedging with proportional transaction costs
en_US
dc.type
Journal Article
dc.rights.license
In Copyright - Non-Commercial Use Permitted
dc.date.published
2014-03-04
ethz.journal.title
Finance and Stochastics
ethz.journal.volume
18
en_US
ethz.journal.issue
2
en_US
ethz.journal.abbreviated
Finance stoch.
ethz.pages.start
327
en_US
ethz.pages.end
347
en_US
ethz.version.deposit
publishedVersion
en_US
ethz.notes
It was possible to publish this article open access thanks to a Swiss National Licence with the publisher.
en_US
ethz.identifier.wos
ethz.identifier.scopus
ethz.publication.place
Berlin
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)
ethz.date.deposited
2017-06-11T01:04:03Z
ethz.source
ECIT
ethz.identifier.importid
imp5936514872cd547227
ethz.ecitpid
pub:119536
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2017-07-13T00:29:18Z
ethz.rosetta.lastUpdated
2022-03-29T07:09:54Z
ethz.rosetta.versionExported
true
ethz.COinS
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